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pro vyhledávání: '"Geiss, Christel"'
In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a L\'evy process. As a building block, we use a representation formula for products of martingales from a compensat
Externí odkaz:
http://arxiv.org/abs/2309.11150
Akademický článek
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In this paper, we study in the Markovian case the rate of convergence in the Wasserstein distance of an approximation of the solution to a BSDE given by a BSDE which is driven by a scaled random walk as introduced in Briand, Delyon and M{\'e}min (Ele
Externí odkaz:
http://arxiv.org/abs/1908.01188
Autor:
Di Tella, Paolo, Geiss, Christel
In this paper, we obtain explicit product and moment formulas for products of iterated integrals generated by families of square integrable martingales associated with an arbitrary L\'evy process. We propose a new approach applying the theory of comp
Externí odkaz:
http://arxiv.org/abs/1808.10670
Let (Y, Z) denote the solution to a forward-backward SDE. If one constructs a random walk B n from the underlying Brownian motion B by Skorohod embedding, one can show L 2 convergence of the corresponding solutions (Y n , Z n) to (Y, Z). We estimate
Externí odkaz:
http://arxiv.org/abs/1807.05889
In this paper we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally H{\"o}lder continuous function of the Brownian motion. We state the rate of the L 2-convergence of the approximated solu
Externí odkaz:
http://arxiv.org/abs/1806.07674
Autor:
Geiss, Christel, Steinicke, Alexander
Publikováno v:
Stochastics, 2019
We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a L\'evy process. In particular, we are interested in generators which satisfy a locally Lipschitz condition in the $Z$
Externí odkaz:
http://arxiv.org/abs/1805.05851
Publikováno v:
J. Appl. Probab. 56 (2019) 701-722
For a Brownian bridge from $0$ to $y$ we prove that the mean of the first exit time from interval $(-h,h), \,\, h>0,$ behaves as $O(h^2)$ when $h \downarrow 0.$ Similar behavior is seen to hold also for the 3-dimensional Bessel bridge. For Brownian b
Externí odkaz:
http://arxiv.org/abs/1711.06107
Autor:
Geiss, Christel, Steinicke, Alexander
Publikováno v:
Probability, Uncertainty and Quantitative Risk (2018) 3:9
We show existence of a unique solution and a comparison theorem for a one-dimensional backward stochastic differential equation with jumps that emerge from a L\'evy process. The considered generators obey a time-dependent extended monotonicity condit
Externí odkaz:
http://arxiv.org/abs/1711.01449
Publikováno v:
Advances in Applied Probability, 2020 Sep 01. 52(3), 735-771.
Externí odkaz:
https://www.jstor.org/stable/48654520
